The exact discrete model of a system of linear stochastic differential equations driven by fractional noise

DOI10.1111/j.1467-9892.2008.00593.xzbMath1198.62082OpenAlexW2155710221MaRDI QIDQ3552862

Theodore Simos

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2008.00593.x

zbMATH Keywords

long memoryexact discretization

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10)

Related Items (2)

Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ On the asymptotic properties of a feasible estimator of the continuous time long memory parameter

Cites Work

• Efficient parameter estimation for self-similar processes
• Discrete time representation of stationary and non-stationary continuous time systems
• Asymptotic theory of statistical inference for time series
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Quasi‐Maximum Likelihood Estimation for a Class of Continuous‐time Long‐memory Processes
• Maximum Likelihood Estimation of Linear Continuous Time Long Memory Processes with Discrete Time Data

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